Search results
- 1.0423826 - ÚTIA 2014 RIV CZ eng J - Journal Article
Kaňková, Vlasta
Risk Measures in Optimization Problems via Empirical Estimates.
Acta Universitatis Carolinae. Oeconomica. Roč. 7, č. 3 (2013), s. 162-177. ISSN 0323-066X
R&D Projects: GA ČR GAP402/10/0956; GA ČR GAP402/11/0150; GA ČR GAP402/10/1610
Institutional support: RVO:67985556
Keywords : static stochastic optimization problems * risk measures * empirical distribution function
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2013/E/kankova-0423826.pdf
Permanent Link: http://hdl.handle.net/11104/0229886 - 2.0386933 - ÚTIA 2013 RIV CZ eng J - Journal Article
Kaňková, Vlasta
Empirical Estimates in Optimization Problems: Survey with Special Regard to Heavy Tails and Dependent Data.
Bulletin of the Czech Econometric Society. Roč. 19, č. 30 (2012), s. 92-111. ISSN 1212-074X
R&D Projects: GA ČR GAP402/10/0956; GA ČR GAP402/11/0150; GA ČR GAP402/10/1610
Institutional support: RVO:67985556
Keywords : Stochastic optimization * empirical estimates * thin and heavy tails * independent and weak dependent random samples
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2013/E/kankova-empirical estimates in optimization problems survey with special regard to heavy tails and dependent data.pdf
Permanent Link: http://hdl.handle.net/11104/0220215 - 3.0386849 - ÚTIA 2013 RIV CZ eng J - Journal Article
Sladký, Karel
Some Remarks on Stochastic Versions of the Ramsey Growth Model.
Bulletin of the Czech Econometric Society. Roč. 19, č. 29 (2012), s. 139-152. ISSN 1212-074X
R&D Projects: GA ČR GAP402/10/1610; GA ČR GAP402/10/0956; GA ČR GAP402/11/0150
Institutional support: RVO:67985556
Keywords : Economic dynamics * Ramsey growth model with disturbance * stochastic dynamic programming * multistage stochastic programs
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2013/E/sladky-some remarks on stochastic versions of the ramsey growth model.pdf
Permanent Link: http://hdl.handle.net/11104/0217951 - 4.0381903 - ÚTIA 2013 RIV DE eng J - Journal Article
Branda, Martin
Stochastic programming problems with generalized integrated chance constraints.
Optimization. Roč. 61, č. 8 (2012), s. 949-968. ISSN 0233-1934. E-ISSN 1029-4945
R&D Projects: GA ČR GAP402/10/1610
Grant - others:SVV(CZ) 261315/2010
Institutional support: RVO:67985556
Keywords : chance constraints * integrated chance constraints * penalty functions * sample approximations * blending problem
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.707, year: 2012
http://library.utia.cas.cz/separaty/2012/E/branda-stochastic programming problems with generalized integrated.pdf
Permanent Link: http://hdl.handle.net/11104/0212269 - 5.0376758 - ÚTIA 2013 RIV CZ eng J - Journal Article
Houda, Michal - Kaňková, Vlasta
Empirical Estimates in Economic and Financial Optimization Problems.
Bulletin of the Czech Econometric Society. Roč. 19, č. 29 (2012), s. 50-69. ISSN 1212-074X
R&D Projects: GA ČR GAP402/10/1610; GA ČR GAP402/11/0150; GA ČR GAP402/10/0956
Institutional research plan: CEZ:AV0Z10750506
Keywords : stochastic programming * empirical estimates * moment generating functions * stability * Wasserstein metric * L1-norm * Lipschitz property * consistence * convergence rate * normal distribution * Pareto distribution * Weibull distribution * distribution tails * simulation
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2012/E/houda-empirical estimates in economic and financial optimization problems.pdf
Permanent Link: http://hdl.handle.net/11104/0209079 - 6.0376757 - ÚTIA 2013 RIV CZ eng J - Journal Article
Branda, M. - Kopa, Miloš
DEA-Risk Efficiency and Stochastic Dominance Efficiency of Stock Indices.
Finance a úvěr-Czech Journal of Economics and Finance. Roč. 62, č. 2 (2012), s. 106-124. ISSN 0015-1920. E-ISSN 0015-1920
R&D Projects: GA ČR GAP402/10/1610
Grant - others:GA ČR(CZ) GAP402/12/0558
Program: GA
Institutional research plan: CEZ:AV0Z10750506
Keywords : Data Envelopment Analysis * Risk measures * Index efficiency * Stochastic dominance
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.340, year: 2012
http://library.utia.cas.cz/separaty/2012/E/branda-dea-risk efficiency and stochastic dominance efficiency of stock indices.pdf
Permanent Link: http://hdl.handle.net/11104/0209078 - 7.0372702 - ÚTIA 2012 RIV CZ eng J - Journal Article
Šmíd, Martin
Probabilistic properties of the continuous double auction.
Kybernetika. Roč. 48, č. 1 (2012), s. 50-82. ISSN 0023-5954
R&D Projects: GA ČR GAP402/10/1610; GA ČR GAP402/10/0956; GA ČR(CZ) GA402/06/1417
Institutional research plan: CEZ:AV0Z10750506
Keywords : continuous double auction * limit order market * distribution
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.619, year: 2012
http://library.utia.cas.cz/separaty/2012/E/smid-0372702.pdf
Permanent Link: http://hdl.handle.net/11104/0205955File Download Size Commentary Version Access 0372702.pdf 1 444.8 KB Publisher’s postprint open-access - 8.0367037 - ÚTIA 2012 RIV NL eng J - Journal Article
Vácha, Lukáš - Baruník, Jozef
Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis.
Energy Economics. Roč. 34, č. 1 (2012), s. 241-247. ISSN 0140-9883. E-ISSN 1873-6181
R&D Projects: GA ČR GA402/09/0965; GA ČR GD402/09/H045; GA ČR GAP402/10/1610
Institutional research plan: CEZ:AV0Z10750506
Keywords : Correlation * Co-movement * Wavelet analysis * Wavelet coherence
Subject RIV: AH - Economics
Impact factor: 2.538, year: 2012
Permanent Link: http://hdl.handle.net/11104/0201831 - 9.0345195 - ÚTIA 2011 RIV CZ eng J - Journal Article
Kopa, Miloš
Measuring of Second-order Stochastic Dominance Portfolio Efficiency.
Kybernetika. Roč. 46, č. 3 (2010), s. 488-500. ISSN 0023-5954
R&D Projects: GA ČR GAP402/10/1610
Institutional research plan: CEZ:AV0Z10750506
Keywords : stochastic dominance * stability * SSD porfolio efficiency
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.461, year: 2010
http://library.utia.cas.cz/separaty/2010/E/kopa-measuring of second-order stochastic dominance portfolio efficiency.pdf
Permanent Link: http://hdl.handle.net/11104/0186520File Download Size Commentary Version Access 0345195.pdf 0 172 KB Publisher’s postprint open-access